The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options
碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract The purpose of this paper is to fill the gap of the comparisons of the jump-diffusion models (SV and SVJ models) and the pure jump model (Variance gamma model.) We not only compare the pricing performance and also the trading performance of each innovative...
Main Authors: | Kun-Cing Lin, 林坤慶 |
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Other Authors: | An-Sing Chen |
Format: | Others |
Language: | en_US |
Published: |
2010
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Online Access: | http://ndltd.ncl.edu.tw/handle/65179929808728246167 |
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